Browsing Τμήμα Οικονομικών / Department of Economics by Subject "Financial data processing"
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Article
Monitoring disruptions in financial markets
(2006)We study historical and sequential CUSUM change-point tests for strongly dependent nonlinear processes. These tests are used to monitor the conditional variance of asset returns and to provide real-time information regarding ...
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Article
Robust multiobjective portfolio optimization: A minimax regret approach
(2017)An efficient frontier in the typical portfolio selection problem provides an illustrative way to express the tradeoffs between return and risk. Following the basic ideas of modern portfolio theory as introduced by Markowitz, ...